Package com.activeviam.risk.starter.cfg.pivot.builders.sensi

Class VolgaGreekSensiCubeMeasureConfig

java.lang.Object

com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureNames

com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeSensiMeasureConfig

com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMarketDataMeasureConfig

com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureConfig

com.activeviam.risk.starter.cfg.pivot.builders.sensi.A3DTypeSensiCubeMeasureConfig

com.activeviam.risk.starter.cfg.pivot.builders.sensi.VolgaGreekSensiCubeMeasureConfig

All Implemented Interfaces:

IGreekSensiCubeMeasureConfig

@Configuration
public class VolgaGreekSensiCubeMeasureConfig
extends A3DTypeSensiCubeMeasureConfig

Field Summary

Fields inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.A3DTypeSensiCubeMeasureConfig

maturitiesAnalysisLevel, maturitiesFactLevels, moneynessAnalysisLevel, moneynessFactLevels, tenorsAnalysisLevel, tenorsFactLevels

Fields inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureConfig

moneynessDefaultValue, tenorAndMaturityDefaultValue, vaRPostProcessors

Fields inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMarketDataMeasureConfig

DEBUG_SUFFIX

Fields inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureNames

asOfDateHierarchy, asOfDateLevel, currencyLevel, DOUBLE_ARRAY_FORMATTER, DOUBLE_FORMATTER, DOUBLE_PERCENTAGE_FORMATTER, fxRiskClass, INT_FORMATTER, ladderAvailabilityLevel, ladderShiftLevel, marketDataAnalysisLevels, marketDataSetLevel, regexp, riskClassLevel, riskFactorLevel, scenarioSetLevel, sensiLadderValues, sensitivityNameLevel, sensiType, sensiValues, TIMESTAMP_FORMATTER

Constructor Summary

Constructors

Constructor

Description

VolgaGreekSensiCubeMeasureConfig(String currencyLevel, String riskClassLevel, String sensitivityNameLevel, String asOfDateLevel, String asOfDateHierarchy, String riskFactorLevel, String dynamicTenorsHierarchy, String dynamicMaturitiesHierarchy, String dynamicMoneynessHierarchy, String tenorsLabelsLevels, String maturitiesLabelsLevels, String moneynessLabelsLevels, String tenorsDatesLevels, String maturitiesDatesLevels, String moneynessDatesLevels, String tenorsFactLevels, String maturitiesFactLevels, String moneynessFactLevels, String tenorsAnalysisLevel, String maturitiesAnalysisLevel, String moneynessAnalysisLevel, String regexp, String scenarioSetLevel, String marketDataSetLevel, String ladderShiftsLevel, String ladderAvailabilityLevel, String fxRiskClass)

Method Summary

Modifier and Type	Method	Description
String	getGreekSensiPnlVectorForTaylorVarNative()

Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.A3DTypeSensiCubeMeasureConfig

dynamicTenorsAndMaturitiesPostProcessor, getBucketsLevels, getGreekTypeDimension, getScalarBucketsLevels, nDimensionMarketDataDebugStringPostProcessor, nDimensionMarketDataPostProcessor, pnlForVaRExplainPostProcessor, scalarMarketDataPostProcessor, scalarPnlForVaRExplainPostProcessor, scalarPnlNextDateExplainPostProcessor, sensiMinimumLevelsPostProcessor, toPillarsExpandDebugStringPostProcessor, toPillarsExpandPostProcessor, toPillarsLadderExpandPostProcessor

Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureConfig

buildPnlShiftMeasures, buildScalarMeasures, buildScalarMeasures, buildStandardMeasures, buildStandardMeasures, commonMetrics, commonPnLExplainMetrics, pnLExplainMetrics, pnlExplainNextDatePostProcessor, scalarPnLExplainMetrics, scalarTaylorVarMetrics, taylorVarCommonMetrics, taylorVarMetrics

Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMarketDataMeasureConfig

buildNeighbourDateMarketDataMeasures, buildScalarMarketDataMeasures, buildStandardMarketDataMeasures, generateMarketDataDebugStringMeasureName

Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeSensiMeasureConfig

buildRestrictedMeasures, buildScalarRestrictedMeasures

Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureNames

getGreekRegexp, getGreekSensiCurrentDateMdFxInterpolated, getGreekSensiCurrentDateMdNativeExpandIntermediateInterpolated, getGreekSensiCurrentDateMdNativeIntermediateFilteredInterpolated, getGreekSensiCurrentDateMdNativeIntermediateInterpolated, getGreekSensiCurrentDateMdNativeInterpolated, getGreekSensiFolder, getGreekSensiLadder, getGreekSensiLadderExpand, getGreekSensiLadderExpandTechnical, getGreekSensiLadderNativeExpand, getGreekSensiLadderNativeExpandTechnical, getGreekSensiLadderSumTechnical, getGreekSensiLadderSumTechnicalFiltered, getGreekSensiLadderValues, getGreekSensiNative, getGreekSensiNativeBucketed, getGreekSensiNativeFolder, getGreekSensiNativeIntermediate, getGreekSensiNativeVectorSum, getGreekSensiNextDateMdNativeIntermediateFilteredInterpolated, getGreekSensiNextDateMdNativeIntermediateInterpolated, getGreekSensiPnlExplain, getGreekSensiPnlExplainNative, getGreekSensiPnlExplainNativeExpandNextDate, getGreekSensiPnlExplainNativeIntermediateNextDate, getGreekSensiPnlExplainNativeNextDate, getGreekSensiPnlExplainNextDate, getGreekSensiPnlSubVectorForTaylorVar, getGreekSensiPnlSubVectorForTaylorVarWithFx, getGreekSensiPnlVectorForTaylorVar, getGreekSensiPreviousDateMdFxInterpolated, getGreekSensiPreviousDateMdNativeInterpolated, getGreekSensiPreviousVectorNativeExpand, getGreekSensiRate, getGreekSensiScalarSumTechnical, getGreekSensiScalarSumTechnicalFiltered, getGreekSensiSumTechnical, getGreekSensiSumTechnicalFiltered, getGreekSensiTaylorVar, getGreekSensiType, getGreekSensiValues, getGreekSensiVectorNativeExpand, getGreekTaylorVarFolder

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

VolgaGreekSensiCubeMeasureConfig

public VolgaGreekSensiCubeMeasureConfig(@Value("${volga.currency.level}")
                                        String currencyLevel,
                                        @Value("${risk.class.level}")
                                        String riskClassLevel,
                                        @Value("${sensitivity.name.level}")
                                        String sensitivityNameLevel,
                                        @Value("${asofdate.level}")
                                        String asOfDateLevel,
                                        @Value("${asofdate.hierarchy}")
                                        String asOfDateHierarchy,
                                        @Value("${risk.factor.level}")
                                        String riskFactorLevel,
                                        @Value("${dynamic.tenors.hierarchy}")
                                        String dynamicTenorsHierarchy,
                                        @Value("${dynamic.maturities.hierarchy}")
                                        String dynamicMaturitiesHierarchy,
                                        @Value("${dynamic.moneyness.hierarchy}")
                                        String dynamicMoneynessHierarchy,
                                        @Value("${tenors.fact.levels.labels}")
                                        String tenorsLabelsLevels,
                                        @Value("${maturities.fact.levels.labels}")
                                        String maturitiesLabelsLevels,
                                        @Value("${moneyness.fact.levels.labels}")
                                        String moneynessLabelsLevels,
                                        @Value("${tenors.fact.levels.dates}")
                                        String tenorsDatesLevels,
                                        @Value("${maturities.fact.levels.dates}")
                                        String maturitiesDatesLevels,
                                        @Value("${moneyness.fact.levels.dates}")
                                        String moneynessDatesLevels,
                                        @Value("${tenors.fact.levels}")
                                        String tenorsFactLevels,
                                        @Value("${maturities.fact.levels}")
                                        String maturitiesFactLevels,
                                        @Value("${moneyness.fact.levels}")
                                        String moneynessFactLevels,
                                        @Value("${tenors.analysis.level}")
                                        String tenorsAnalysisLevel,
                                        @Value("${maturities.analysis.level}")
                                        String maturitiesAnalysisLevel,
                                        @Value("${moneyness.analysis.level}")
                                        String moneynessAnalysisLevel,
                                        @Value("${sensi.type.volga}")
                                        String regexp,
                                        @Value("${scenario.set.level}")
                                        String scenarioSetLevel,
                                        @Value("${market.data.set.level}")
                                        String marketDataSetLevel,
                                        @Value("${sensi.ladder-shifts.level}")
                                        String ladderShiftsLevel,
                                        @Value("${sensi.ladder-availability.level}")
                                        String ladderAvailabilityLevel,
                                        @Value("${risk.class.member.fx}")
                                        String fxRiskClass)

Method Detail

getGreekSensiPnlVectorForTaylorVarNative

public String getGreekSensiPnlVectorForTaylorVarNative()

Specified by:

getGreekSensiPnlVectorForTaylorVarNative in interface IGreekSensiCubeMeasureConfig

Overrides:

getGreekSensiPnlVectorForTaylorVarNative in class AGreekSensiCubeMeasureNames